Financial Engineering: Derivatives & Risk Management

Description:
This title provides a treatment of futures, 'plain vanilla' options, swaps and the use of exotic, interest rate options in speculation and hedging. Pricing of options using numerical methods such as lattices (BOPM), Monte Carlo simulation and finite difference methods as well as solutions via continuous time stochastic processes are also covered. Real options theory and its use in investment appraisal and in valuing internet and biotechnology stocks provide practical applications. In addition, the authors also present the coverage of derivatives within a wider risk management context.

Table of Contents:
Preface. DERIVATIVES: AN OVERVIEW; Derivatives: An Overview; FORWARDS AND FUTURES; Futures Markets; Stock Index Futures; Currency Forwards and Futures; Short-Term Interest Rate Futures; T-Bond Futures; OPTIONS AND SWAPS; Options Markets; Options Pricing; Hedging and Volatility; Option Spreads and Stock Options; Foreign Currency Options; Futures Options; Portfolio Insurance; Swaps; ADVANCED DERIVATIVES AND STOCHASTIC PROCESSES; Interest Rate Derivatives; Complex Derivatives; Asset Price Dynamics; Pricing Interest Rate Derivatives; Real Options (Alexander Workman, Co-Author). RISK AND REGULATION; Regulation of Financial Institutions; Regulatory Framework in the UK and US; Market Risk; VaR: Mapping Cash Flows; VaR: Statistical Issues; Credit Risk; Glossary; List of Symbols; List of 'Topic Boxes'; Internet Sites; References; Author Index; Subject Index;.